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Persistent link: https://www.econbiz.de/10010399454

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The mean volatility asymmetry in Asian stock markets

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The US zero-coupon yield spread as a predictor of excess daily stock market volatility

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Business conditions and nonrandom walk behaviour of US stocks and bonds returns

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Arnold, Ivo J. M.; Vrugt, Evert B. - In: Applied financial economics 18 (2008) 16/18, pp. 1425-1440

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Order imbalance, market returns and volatility : evidence from Thailand during the Asian crisis

Visaltanachoti, Nuttawat; Luo, Hang - In: Applied financial economics 19 (2009) 16/18, pp. 1391-1399

This article examines the interaction between order imbalance, stock returns, volatility and volume dynamics during … in current excess sell orders, but are insensitive to the current excess buy orders. In addition to the positive volume-volatility … relation, the influence of order imbalance to volatility is much weaker after controlling for the level of stock returns. …

Persistent link: https://www.econbiz.de/10003886203

Volatility forecasting in emerging markets with application of stochastic volatility model

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Intertemporal relations between the market volatility index and stock index returns

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Sentiment changes, stock returns and volatility : evidence from NYSE, AMEX and NASDAQ stocks

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